sample_normal_multivariate Function

public function sample_normal_multivariate(dist) result(rst)

Samples a multivariate normal distribution such that $\vec{x} = \vec{mu} + L \vec{u}$, where $L$ is the lower form of the Cholesky factorization of the covariance matrix, and $\vec{u}$ is a randomly generated vector that exists on the set $[-1 1]$

Arguments

Type	Intent	Optional	Attributes		Name
class(multivariate_normal_distribution),	intent(in)			::	dist	The multivariate normal distribution to sample.

Return Value real(kind=real64), allocatable, dimension(:)

The resulting vector.

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